The surprising robustness of dynamic Mean-Variance...

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European Journal of Operational Research 2020 / 7

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

van Staden, Pieter M., Dang, Duy-Minh, Forsyth, Peter A.
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Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2020.07.021
Date:
July, 2020
File:
PDF, 1.05 MB
2020
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